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arXiv:1902.10497 [math.OC]AbstractReferencesReviewsResources

Pricing of claims in discrete time with partial information

Kristina Rognlien Dahl

Published 2019-02-27Version 1

We consider the pricing problem of a seller with delayed price information. By using Lagrange duality, a dual problem is derived, and it is proved that there is no duality gap. This gives a characterization of the seller's price of a contingent claim. Finally, we analyze the dual problem, and compare the prices offered by two sellers with delayed and full information respectively.

Journal: Applied Mathematics & Optimization, October 2013, Volume 68, Issue 2, pp 145-155
Categories: math.OC
Subjects: 49N15, 90C15, 90C25, 90C46, 91G20
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